[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/BKMS.2015.52.3.947

REGULARITY OF A DEGENERATE PARABOLIC EQUATION APPEARING IN VECER'S UNIFIED PRICING OF ASIAN OPTIONS

Dong, Hongjie (Division of Applied Mathematics Brown University)
Kim, Seick (Department of Mathematics Yonsei University)

Publication Information

Bulletin of the Korean Mathematical Society / v.52, no.3, 2015 , pp. 947-953 More about this Journal

Abstract

Vecer derived a degenerate parabolic equation characterizing the price of Asian options with generally sampled average. It is well understood that there exists a unique probabilistic solution to Vecer's PDE but it remained unclear whether the probabilistic solution is a classical solution. We prove that the probabilistic solution to Vecer's PDE is indeed regular.

Keywords

Asian options; degenerate parabolic equation; regularity of solutions;

Citations & Related Records

Reference

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3	N. V. Krylov, Lectures on Elliptic and Parabolic Equations in Holder Spaces, American Mathematical Society, Providence, RI, 1996.
4	J. Vecer, Unified Asian Pricing, Risk 15 (2002), no. 6, 113-116.